Try this Obermeyer Coco Jacket ($399.50 at Obermeyer.com) for starters. It's made out of Cocona fabric and polyester, plus it's waterproof and breathable.

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Wear Wicking Clothing

Wicking clothing is a must, says Laura Williams, fitness expert of GirlsGoneSporty.com. "You're going to be sweating, but you don't want that sweat to sit next to your skin and make you colder. Wicking materials will help you stay dry and warm from the inside-out," she says.

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Warm Up and Stretch

Dr. Benjamin Domb, an orthopedic surgeon, feels it's important to take extra precautions prior to working out during the winter months.

"Don't skimp on stretching," he says. "Stretching is especially important when it's cold and muscles tend to get cold and stiff. Try yoga or Pilates to keep your limbs loose and injury-free."

Also; Your muscles take much longer to warm up in the winter. "Allow time for a proper warmup so you can reduce the likelihood of strains or tears," Dr. Domb adds. "Consider a non-impact activity like a stationary bike for 10 minutes to get your blood flowing before you start any sport or activity."

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Keep Your Gloves On

Want to change your playlist but don't feel like taking off your gloves? ThumbDogs ($12.99 at ThumbDogs.com is the answer. Play with your digital device while keeping your hands warm and your heart pumping.

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Run This Way

Dan Callahan, who has been running for 35 years—most of the time in cold weather—knows firsthand the best way to stay warm out there. His genius suggestion: "Runners check out the direction of the wind and run into the wind for the first half of the run and with the wind for the second half. This way, you sweat more on the back end and avoid the potential freezing that can happen when you run into a stiff breeze after warming yourself up."

Callahan also points out that it's a psychological boost to know that the second half of your run will be faster and easier.

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Try Ibex Wool

For your next run, consider this Ibex Breakaway Jacket ($275 at Ibex.com). It's made out of Ibex wool, which is not only odor resistant and breathable, it also provides temperature control—the fabric draws moisture away from your skin and evaporates to keep you dry while trapping your body's heat to keep you warm. Cool, huh?

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Wear Water-Resistant Shoes

It's easy to forget that your usual running shoes may not do the trick when it's really cold out. Williams suggests to wear water-resistant shoes.

"Winter weather often includes slush, rain, and snow, so keeping your feet warm and dry will play a key part in making your run enjoyable," she says. "I run on trails a lot and have two pairs of water-resistant trail shoes—Brooks Cascadia 6 (pictured; $110 at REI.com) and Mizuno Wave Elixir ($84.95 at RunningShoes.com)…I've stepped in puddles and run in rain storms, and they hold up really well, keeping my feet dry."